We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such as country and industry factors. A sparse factor...

For the past several decades, financial crises have highlighted the need to assess the stability of the financial system.The current global financial crisis has demonstrated limitations in the purely statistical approaches which have heretofore been employed to assess the stability of financial...

The following BN focuses on how to identify costs related to the first exposure category: people. This is based on the methodology of Defra (2009) and further developed with Penning Roswell et al. (2005), Department of transport UK (2007), OECD (2012). Hazard (H) is described with the light blue...

Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...